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Tear Jerker: Final Fantasy Type-0
The introduction alone sets the tone for the rest of the game. You see teenagers gunned down by assault rifles, soldiers stopping to shoot at the wounded laying at their feet, and during the stage itself you run across a wounded Bahamut laying on its side roaring in pain with blood streaked across its scales.
Izana's death. He fails to keep up a brave face and spends his final moments crying as he wishes he could live. Not to mention his beloved chocobo dies with him. And that's just the intro!
Dear God, the ending scene where Class Zero chat about their future dreams and sing a song to comfort each other as they slowly and painfully succumb to their wounds. By the time Machina and Rem arrive, they're all lying dead in a huddle, holding hands.
And Ace sings "Zero", trying to comfort his partners. One would think the song sounds beautiful, but it only adds to the Tear Jerker once you know what he's singing, and the rest of the song.
Kurasame's death, and Caetuna being crystalized.
When Carla's Crimson Codex profile reveals that the money she's been asking from you is actually going towards her dying mother's medical bills, and supporting her little sister in taking care of her. Kinda makes you feel bad about being stingy with your gil, doesn't it?
Aria's death at the hands of Milites soldiers. Both the fakeout and the real one late in the game.
Machina accidentally killing Rem, whose final request is that he remember her. Machina then sobs over her corpse before going into crystal stasis.